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Diebold and Yilmaz (2012) spillover-Time domain.

Diebold and Yilmaz (2012) spillover-Time domain.

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This paper examines the connectedness between Bitcoin and commodity volatilities, including oil, wheat, and corn, during the period Oct. 2013–Jun. 2018, using time- and frequency-domain frameworks. The time-domain framework’s results show that the connectedness is 23.49%, indicating a low level of connection between Bitcoin and the commodity volati...

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... Diebold and Yilmaz (2012), we compute the connectedness using a 100-period ahead forecasting horizon. The results obtained from Diebold and Yilmaz (2012) and Baruník and Křehlík (2018) are shown in Tables 2 and 3, respectively. The total connectedness for the three commodity indices and Bitcoin is 23.49, as shown in Table 2, which is relatively low and thus indicates low associations between the indices. ...
Context 2
... results obtained from Diebold and Yilmaz (2012) and Baruník and Křehlík (2018) are shown in Tables 2 and 3, respectively. The total connectedness for the three commodity indices and Bitcoin is 23.49, as shown in Table 2, which is relatively low and thus indicates low associations between the indices. The last row in Table 2 shows the percentage that each variable in the sample contributes to the total connectedness. ...
Context 3
... total connectedness for the three commodity indices and Bitcoin is 23.49, as shown in Table 2, which is relatively low and thus indicates low associations between the indices. The last row in Table 2 shows the percentage that each variable in the sample contributes to the total connectedness. Bitcoin contributes only 2.55% to the total connectedness among the four variables, while the highest contribution of 12.51% is from WVI and the lowest one of 0.6% is from OVX. ...

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... Baur et al. (2017) use the GARCH and EGARCH models to compare Bitcoin and Gold's hedging ability, stock, US dollar, and points out that there is a vast difference between Bitcoin and the other assets. Hoang et al.(2020) examine the connectedness between Bitcoin and commodity volatilities (e.g., oil, wheat, and corn) under the time-frequency frameworks. Page 3 of 16 122 ...
... As for the methods in the research of Bitcoin issues, the GARCH model is the most widely used (see Dyhrberg 2016a, b;Bouri et al. 2017a, b;Katsiampa 2017;Catania and Grassi 2017;Chu et al. 2017;Corbet et al. 2018;Aftab et al. 2019;Wu et al. 2019;Das et al. 2020;etc.). Then the VAR model and variance decomposition based on VAR model are also widely used (Hoang et al. 2020;Moratis 2021;Rehman 2020;Urom et al. 2020). Other methods such as Copula-type models (Garcia-Jorcano and Muela 2020), wavelet analysis (Qureshi et al. 2018) etc., are gradually applied. ...
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To analyze the asset attribute and hedge effect of Bitcoin, we investigate the relationship between Bitcoin and several kinds of traditional financial assets by the univariate GARCH and multivariate GARCH models. We find that Bitcoin has a unique risk-return characteristic and volatility clustering performance, its high volatility persistence similar to Gold, but different from currency. In addition, Bitcoin exhibits a significant one-way spillover effect with other variables, without a two-way spillover effect. Bitcoin is much more affected by other market shocks than other markets are affected by the impact of Bitcoin shocks, which could not be a haven but a weak hedge. From the dynamic linkage perspective, Bitcoin and Gold have different connectedness to other markets, Gold exhibits a stronger movement to other markets, especially during extreme situations. To summarize, we classify Bitcoin as a high speculative financial asset between Gold and currency, but not Gold or currency. Our study has important implications for investors, policymakers, and risk managers who are interested in Bitcoin.
... The results indicate that the volatility connectedness is higher than the return connectedness among these assets, suggesting that although diversification among these three assets is more difficult in the short-and medium-term, investors may benefit from diversification in the long run. In a similar vein, the paper by Hoang et al. (2020) "Does Bitcoin Hedge Commodity Uncertainty?" examines the connectedness between Bitcoin and commodity volatilities, including those of oil, wheat, and corn, during the period Oct. 2013-Jun. 2018, using time-and frequencydomain frameworks, also finding that Bitcoin could be a hedger for commodity volatilities. ...
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